Integrability of solutions to mixed stochastic differential equations

DOI10.1007/S10958-014-1802-6zbMATH Open1398.60076arXiv1310.1578OpenAlexW2060432847MaRDI QIDQ460742FDOQ460742

Authors: G. M. Shevchenko 

Publication date: 14 October 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Abstract: We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential moments. For a special equation whose coefficients do not satisfy the linear growth condition, we find conditions for integrability of its solution.

Full work available at URL: https://arxiv.org/abs/1310.1578

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zbMATH Keywords

mixed stochastic differential equationexponential moment of a solutionmoment of a solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Growth and boundedness of solutions to ordinary differential equations (34C11)

Cites Work

• Stochastic calculus for fractional Brownian motion and related processes.
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• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
• Malliavin regularity of solutions to mixed stochastic differential equations
• Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\)
• Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
• Mixed fractional stochastic differential equations with jumps

Cited In (6)

• Convergence of solutions of mixed stochastic delay differential equations with applications
• Integrability of stochastic birth-death processes via differential Galois theory
• Mixed fractional Heston model and the pricing of American options
• Application of Itô processes and Schwartz distributions to local volatility for Margrabe options
• Malliavin regularity of solutions to mixed stochastic differential equations
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